Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/9971
Autoria: | Dias, J. C. Shackleton, M. B. |
Data: | 2011 |
Título próprio: | Hysteresis effects under CIR interest rates |
Volume: | 211 |
Número: | 3 |
Paginação: | 594-600 |
ISSN: | 0377-2217 |
Palavras-chave: | Finance Real options Interest rate uncertainty Perpetuities Investment hysteresis |
Resumo: | Most decision making research in real options focuses on revenue uncertainty assuming discount rates remain constant. However, for many decisions revenue or cost streams are relatively static and investment is driven by interest rate uncertainty, for example the decision to invest in durable machinery and equipment. Using interest rate models from Cox et al. (1985b), we generalize the work of Ingersoll and Ross (1992) in two ways. Firstly, we include real options on perpetuities (in addition to zero coupon cash flows). Secondly, we incorporate abandonment or disinvestment as well as investment options, and thus model interest rate hysteresis (parallel to revenue uncertainty in Dixit (1989a)). Under stochastic interest rates, economic hysteresis is found to be significant, even for small sunk costs. |
Arbitragem científica: | Sim |
Acesso: | Acesso Aberto |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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post_print_European_Journal_of_Operational_Research.pdf | 220,64 kB | Adobe PDF | Ver/Abrir |
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